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Option pricing methods
Chrobok, Viktor ; Gapko, Petr (advisor) ; Vlasáková Baruníková, Michaela (referee)
The diploma thesis is focused on the option pricing methods. There are described basic features of the option contracts and the types of them. Then a description of 6 pricing methods is given - the Black-Scholes model, the French Black-Scholes model, the Binomial Model, the Quadratic approximation model, the Bjerksund-Stersland model and the Jump-Diffusion model. The empirical part contains an analysis of the performance of all models on the real market data. It was shown that all models except for the Jump-Diffusion one fit the data very well, yet it was impossible to determine the best one. The evidence suggests that it is better to plug a few-days-delayed implied volatility than the historical one into all of the models. It was observed that the models for pricing European options are suitable even for the American ones.
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Option pricing. The methodological retrospection and the ampirical tests of the Black-Scholes pricing formula and feed-forward networks
Vlasáková Baruníková, Michaela ; Žikeš, Filip (advisor) ; Dědek, Oldřich (referee)
Since the famous Black, Scholes, Merton formula substantial progress has been made in the option pricing theory. We recapitulate this development in the first part of the work to provide the reader with the comprehensive methodological review of the option pricing techniques and we describe the most common issues one has to deal with in empirical application. The aim of the empirical part is to evaluate the difference between the rather simple but revolutionary Black- Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till 8.6.2007. Our results on call options show that generally Black-Scholes model with historical and at-the-money implied volatility performs better than simple generalized feed-forward networks. On the other hand neural networks performance is improving as the option goes deep in the money and as days to expiration increase, compared to the worsening performance of the BS models. Neural networks seem to correct for the well-known Black-Scholes model moneyness and maturity biases. All models have much lower explanatory power for put options compared to calls. Since options are real indicators of the market movements we assign this fact to the expectations of the market participants...
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Patents: Means to Innovation or Strategic Ends?
Štěpánek, Martin ; Schwarz, Jiří (advisor) ; Vlasáková Baruníková, Michaela (referee)
This paper utilizes an extensive dataset of 163,663 US patents granted between 1976 and 2011 to 25 companies within four technological fields (aerospace in- dustry, computer manufacturing, semiconductor industry, and software devel- opment), to observe fluctuations in their value and characteristics. I find that certain indicators have changed immensely during the last 36 years, suggesting that newer patents are much less valuable than their predecessors. Further, using Data Envelopment Analysis, I estimate relative production efficiency of transformation of inputs (research and development expenses and company's workforce) into outputs (patent stock and its technological importance), to provide an empirical evidence for the recent theories of strategical patent ex- ploitation by large companies. I find that the efficiency varies considerably for different industries and also for the companies within an industry. There is an overall trend of increasing efficiency in patent production per unit of input, but there is none in the effectiveness of creating valuable inventions, which seems to depend only on the company itself. JEL Classification D22,L20,O32,O34 Keywords patent value, intellectual property rights, strate- gic patents, research and development efficiency Author's e-mail Stepanek.Martin@hotmail.com
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Option pricing methods
Chrobok, Viktor ; Vlasáková Baruníková, Michaela (referee) ; Gapko, Petr (advisor)
The diploma thesis is focused on the option pricing methods. There are described basic features of the option contracts and the types of them. Then a description of 6 pricing methods is given - the Black-Scholes model, the French Black-Scholes model, the Binomial Model, the Quadratic approximation model, the Bjerksund-Stersland model and the Jump-Diffusion model. The empirical part contains an analysis of the performance of all models on the real market data. It was shown that all models except for the Jump-Diffusion one fit the data very well, yet it was impossible to determine the best one. The evidence suggests that it is better to plug a few-days-delayed implied volatility than the historical one into all of the models. It was observed that the models for pricing European options are suitable even for the American ones.
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